Simultaneous Equation Models

Cheng-Few Lee (), Hong-Yi Chen () and John Lee ()
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Cheng-Few Lee: Rutgers University, Department of Finance and Economics, Rutgers Business School
Hong-Yi Chen: National Chengchi University, Department of Finance
John Lee: Center for PBBEF Research

Chapter Chapter 4 in Financial Econometrics, Mathematics and Statistics, 2019, pp 115-124 from Springer

Abstract: Abstract Based upon the discussion of single-equation models in the previous two chapters, in this chapter, we discuss simultaneous equation modelsSimultaneous equation, including the basic definition, their specification, and identification. The estimation methods for simultaneous equation models include two-stage least squares estimation method and three-stage least squaresThree-stage least squares estimation method. Some examples of applying simultaneous equationSimultaneous equation models in finance research are also provided.

Keywords: Model identification; Simultaneous equation; Three-stage Least Squares; Two-stage Least Squares (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4939-9429-8_4

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DOI: 10.1007/978-1-4939-9429-8_4

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